base 5; +2 GEX/flow strongly aligned; +1 GEX positive (pinning); -1 spot 6.2% from MP; +1 VIX 17
Term structure: Near-dated expiries show dislocation: today expiry depressed ATM but elevated put IVs 3–7d; longer-term curve flattish.
Spot vs MP: Above
GEX regime: Pinning ($+1.8B)
Gamma flip: ~$570.00 — Approx — based on put OI concentration of 109,641 (12.2% below spot)
OI concentrations: Put OI concentrated at strikes $611/$616/$620 = 109,641 contracts, ≈12% of total option OI — heavy cluster at those strikes.
#1Call diagonal
Sell 2026-05-22 $645.00 call / buy 2026-08-21 $670.00 call
Harvest front-month decay by selling 2026-05-22 $645 and buying 2026-08-21 $670; limited upside exposure and rollable long call.
Mgmt: Close or roll short leg if price nears invalidation $629.82 or front-month IV >25; trim after >50% credit decay.
#2Call diagonal
Sell 2026-05-29 $665.00 call / buy 2026-07-17 $635.00 call
Sell 2026-05-29 $665 and buy 2026-07-17 $635 to collect rich short-dated premium while carrying a longer, lower-strike long call as directional hedge.
Mgmt: Hard size cap: <=3% portfolio notional or max 4 contracts. Invalidate and close short leg if spot ≥680 or short-dated delta >0.45. Close entire position if unrealized loss >25% of initial debit or if front-month IV rises above 30 while back-month IV unchanged (front−back spread >8 vol points). If spot drifts into short strike (≥655), roll short up 10–15 strikes for net credit or convert into a vertical to cap risk; otherwise exit into weekend before expiry.
!Short-dated IV dislocation — sudden repricing can widen losses for short premium
!Spot breach below $611 would flip thesis and accelerate put-driven selling